Spatial-temporal modelling of temperature for pricing temperature index insurance

DOI10.1007/s10690-018-9259-0zbMath1410.91287OpenAlexW2901043994WikidataQ128952467 ScholiaQ128952467MaRDI QIDQ1732975

Che Mohd Imran Che Taib, Mukminah Darus

Publication date: 26 March 2019

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-018-9259-0

zbMATH Keywords

seasonally dependent variancespatial-temporal random fieldstemperature modellingweather index insurance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (1)

Modelling Temperature Using CARMA Processes with Stochastic Speed of Mean Reversion for Temperature Insurance Pricing

Cites Work

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• Hedging of Spatial Temperature Risk with Market-Traded Futures
• A Spatial-temporal Model for Temperature with Seasonal Variance
• A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing

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